Re-run the import function (Tools > Import > WordPress). Don’t worry, it won’t make copies of the posts you’ve already imported, it will just download the images to your new blog.

To fix the references to the images so they’re being served off your new blog, you can either go through every post and manually correct them all, (not very fun), or better yet, download the Search and Replace plugin, activate it and do a search for all instances of the WordPress.com image server URL in all your posts (something like http://BLOGNAME.files.wordpress.com/ with your own new URL — http://BLOGNAME.com/wp-content/uploads/). Don’t forget to test the new URL structure before you do the search and replace, otherwise you’ll have to go back and fix it.